GME Options History — November 2010

In November 2010, GME traded between $4.83 and $5.28. ATM implied volatility averaged 40.6%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 14.4% (HV 20d: 26.2%). Max pain ranged from $4.75 to $5.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2010-11-17: Highest Volume — 93,116 contracts
  • 2010-11-11: Largest IV drop — 19.4% change
  • 2010-11-10: Highest IV Rank — 65.1%
  • 2010-11-17: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.07$4.83$5.28$4.83$4.98
Max Pain$5.05$4.75$5.25$4.75$5.25
ATM IV40.6%32.5%50.9%41.8%36.0%
Expected Move11.1%9.3%12.9%12.0%10.3%
HV 20d26.2%23.4%28.3%26.0%27.8%
HV 60d27.5%24.8%30.9%30.5%24.9%
IV Rank37.6%16.1%65.1%40.9%25.3%
IV Percentile55.1%11.1%94.0%65.9%31.7%
Term Structure-2.1%-6.2%1.9%-3.8%0.1%
VWIV38.9%32.5%44.5%43.3%36.3%
Skew 25d2.2%1.1%3.5%2.5%1.1%
Skew 10d5.0%1.6%8.0%5.5%3.4%
Call IV 25d38.5%32.0%44.5%41.4%36.9%
Put IV 25d40.7%34.3%46.2%44.0%38.0%
Bid-Ask Spread %12.206.1727.4823.006.17
Gamma HHI0.210.170.330.170.22
Net GEX1.9M893.4K3.3M893.4K1.7M
Net DEX-40.6M-71.9M-18.7M-18.7M-27.8M
Net VEX-346.1K-373.3K-324.4K-324.7K-336.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.103.993.990.90
Total Volume26,942.2862,21293,11612,00411,132
Total OI514,085.143419,072622,088451,724474,448

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$4.83$4.7541.8%12.0%26.0%40.9%43.3%2.5%-3.8%893.4K-18.7M-324.7K3.9923.00N/AN/A2,4049,600278,332173,392
2010-11-02$4.89$4.7541.1%11.8%25.7%39.1%41.3%3.4%-4.0%946.6K-21.7M-333.7K0.5110.39N/AN/A1,464748278,668180,908
2010-11-03$4.89$4.7540.2%11.5%25.7%36.6%41.3%3.0%-3.8%950.5K-20.5M-330.3K1.949.53N/AN/A4,9529,620278,816181,400
2010-11-04$4.99$4.7540.7%11.7%26.3%37.8%40.7%3.5%-4.3%1.1M-28.7M-335.2K0.2510.48N/AN/A16,8324,160282,504190,640
2010-11-05$5.00$5.0044.5%10.8%26.2%48.1%37.7%3.5%-2.0%1.3M-33.4M-341.1K0.1010.36N/AN/A27,6962,860294,540191,716
2010-11-08$5.13$5.0048.9%11.0%27.4%59.8%38.8%2.1%-2.3%1.9M-50.3M-352.4K0.529.99N/AN/A39,81220,604311,836192,352
2010-11-09$5.05$5.0050.2%11.3%26.1%63.2%39.2%2.5%-2.4%2.1M-40.7M-359.4K0.5112.11N/AN/A15,3567,764338,004206,300
2010-11-10$5.04$5.0050.9%11.3%23.7%65.1%39.6%2.8%-2.2%2.2M-40.4M-362.3K2.408.01N/AN/A2,0404,896345,940209,700
2010-11-11$5.28$5.0041.0%11.8%26.7%38.7%41.3%2.1%-3.3%2.4M-67.3M-369.1K0.3612.50N/AN/A44,10415,972345,696209,084
2010-11-12$5.21$5.0043.0%12.3%24.8%44.1%43.6%2.7%-4.4%2.7M-65.4M-371.3K1.1811.72N/AN/A10,67212,628367,296211,176
2010-11-15$5.18$5.0043.6%12.5%24.9%45.6%43.9%1.9%-4.8%2.5M-60.0M-356.8K0.667.09N/AN/A8,0205,304363,960218,716
2010-11-16$5.21$5.0043.2%12.4%24.9%44.5%43.4%2.1%-4.4%2.6M-63.7M-354.4K0.3916.01N/AN/A24,8329,700366,648219,336
2010-11-17$5.25$5.0045.0%12.9%23.4%49.3%44.5%1.7%-6.2%2.9M-71.9M-373.3K0.8312.68N/AN/A50,81242,304377,068222,368
2010-11-18$5.10$5.2537.4%10.7%26.4%29.0%36.6%2.2%-0.3%3.3M-43.2M-352.5K1.2327.48N/AN/A21,71226,768386,624235,464
2010-11-19$5.03$5.2535.0%10.0%27.1%22.9%35.1%1.1%0.4%1.8M-28.8M-330.5K0.839.55N/AN/A9,1207,580386,344234,096
2010-11-22$5.09$5.2533.8%9.7%27.3%19.6%33.8%1.8%1.9%1.3M-31.0M-324.4K0.408.78N/AN/A30,17212,144275,976143,096
2010-11-23$5.05$5.2533.5%9.6%27.5%18.7%33.0%1.9%0.7%1.5M-31.1M-336.3K0.5510.76N/AN/A7,9124,360296,064150,028
2010-11-24$5.09$5.2532.5%9.3%27.5%16.1%32.5%2.3%1.0%1.7M-34.6M-341.5K0.1914.40N/AN/A11,7762,184301,336151,612
2010-11-26$5.13$5.2534.4%9.9%27.6%21.2%34.3%1.3%0.1%1.9M-41.1M-344.7K0.1615.48N/AN/A7,9681,260311,400148,696
2010-11-29$5.03$5.2535.8%10.3%28.3%24.9%36.8%1.3%-0.3%1.8M-32.7M-337.1K0.719.81N/AN/A9,6486,896315,168149,040
2010-11-30$4.98$5.2536.0%10.3%27.8%25.3%36.3%1.1%0.1%1.7M-27.8M-336.8K0.906.17N/AN/A5,8525,280323,124151,324